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作者：Lumpkin, SA; OBrien, JM
作者单位：Federal Reserve System - USA
摘要：In practice, the interest rate sensitivity of depository institution (DI) net worth is measured in terms of maturity mismatches arising from nominal contracts in their financial portfolios. Academic studies also frequently invoke nominal contracting to explain a positive covariation observed between DI stock returns and bond returns. For a sample of thrifts reporting detailed financial data (1984-1992), this study estimates monthly changes in their financial portfolio values due to changes in ...
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作者：Bhattacharya, U; Weller, P
作者单位：University of Iowa
摘要：We analyze an asymmetric information model of sterilized intervention in the foreign exchange market. We characterize an equilibrium in which a central bank with 'inside information' about its exchange rate target trades with risk averse speculators who have private information about future spot rates. The model identifies circumstances in which perverse' responses to intervention will be observed, i.e, the domestic currency depreciates when the central bank purchases it, and it provides condi...
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作者：Jonsson, G
摘要：This paper develops a positive model of monetary policy that allows for persistent unemployment and electoral uncertainty. The common credibility problem associated with low-inflation monetary policy results in both a more severe inflation bias and a stabilization bias. However, a simple state contingent performance contract eliminates both biases. Monetary policy is also subject to two different strategic political considerations: It is used to influence future policy decisions as well as to ...
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作者：Balduzzi, P; Bertola, G; Foresi, S
作者单位：Centre for Economic Policy Research - UK; University of Turin; National Bureau of Economic Research
摘要：We investigate the effects of short-term rate targeting by the Federal Reserve on the term structure of interest rates, and make contributions at two levels. Using a new series of interest rate targets made available by the Federal Reserve Bank of New York, we develop a family of models that highlight the implications of discrete changes in interest rate targets for the term structure of interest rates. We show that spreads between short-term rates and the overnight federal reserve funds rate ...
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作者：Lacker, JM
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：This paper develops a general equilibrium model of the clearing and settlement of private payment instruments. Spatial separation, heterogeneous preference shocks and limited communication provide a role for private credit as a means of payment. Although this method could be applied to various settlement arrangements, the use of central bank deposit liabilities in settlement is studied here. Various tools of payment system policy, such as intraday overdraft limits and fees, collateral requirem...
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作者：[Anonymous]
